Malawi's former president denied on Tuesday any wrongdoing in a corruption scandal that erupted when she was in office, saying she will be going back to the southern African nation to prove her innocence.

Joyce Banda is wanted for arrest over alleged abuse of office and money-laundering offenses, police said on Monday.

Government officials are accused of siphoning off millions of dollars from state funds in the scandal, which was revealed in 2013.

Banda, who was Malawi's president for two years from 2012, left the country when she lost in an election to Peter Mutharika. She has not returned since 2014.

Banda has been living in the United States, serving as a distinguished fellow at Woodrow Wilson Center and the Center for Global Development in Washington D.C.

"I will be coming back because I never did anything wrong and I am innocent," Banda told Reuters in a telephone interview from South Africa, where she had arrived from the U.S.

"I am the only president who got to the bottom of corruption and instituted the first-ever commission of inquiry into corruption," she added.

She was expected to proceed to Malawi after carrying out some charity work in South Africa.

James Kadadzera, a police public relations officer, said authorities had obtained an arrest warrant for Banda.

While president, Banda ordered an independent audit of the corruption revelations, which was conducted by British firm Baker Tilly. The findings were released in 2014.

"Baker Tilly never linked me to any corruption and the rest is what everyone knows, that even some of my cabinet members were arrested. I never shielded anyone who was found to have been part of this," she said.

A former justice minister and attorney general was convicted over "cashgate," as the scandal came to be known, and is in jail, along with a number of former high-ranking government officials and business persons.

The corruption scandal led to international donors halting aid to Malawi.